European DataWarehouse

15 

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(1)

European DataWarehouse

(2)

Agenda

 Corporate governance

 General update on SME ABS transactions onboarded so far

 Key characteristics of the ECB ABS SME template

(3)

European DataWarehouse (ED)

 ED is an innovative new company that was created with the support of the European Central Bank

(ECB), funded and governed by global market participants. ED operates as a utility to respond to the

need for full disclosure to investors in asset-backed securities (ABS)

 ED is a cornerstone for the restoration of confidence in the ABS market, providing a central European

repository and data handling infrastructure

 ED helps investors and other market participants to gain an in depth understanding of the underlying

assets for their required due diligence and risk assessment

 ED already stores more than 600 RMBS, CMBS and SME deals equivalent to 15 million loans from

across Europe with an increasing trend; additional asset classes such as Auto and Consumer Loans

as well as Leasing will be available in H2 2013

(4)

List of shareholders as of November 2013

1. Banco Bilbao Vizcaya Argentaria S.A.

2. Banco Santander S.A.

3. BNP Paribas S.A.

4. Caixa Bank S.A.

5. Crédit Agricole S.A.

6. Crédit Foncier de France

7. DBRS Ratings Limited

8. Dutch Securitisation Association

9. Intesa Sanpaolo S.p.A.

10. Instituto de Crédito Oficial

11. Moody's Group Cyprus Limited

12. Perella Weinberg Partners Group LLP

13. Sapient Holdings Luxembourg S.à.r.l

14. Société Génerale S.A.

15. True Sale International GmbH

16. UniCredit S.p.A.

17. Unione di Banche Italiane S.c.p.A.

ED is the first ABS warehouse ever created that is owned by its market users, but has the unique feature of being

supported and endorsed by the European Central Bank and members of the Eurosystem

(5)

Organisational Structure

Pricing Committee

with ECB and NCBs

as observers

ED Management

José Manuel

González-Páramo

Chairman

Supervisory Board

with ECB and NCBs

as observers

Shareholder

Meeting

José Manuel

González-Páramo

Chairman

Supervisory Board: Consists of 8-16 members (mainly shareholder representatives plus

ECB/NCBs as observers) and is responsible for strategy and monitoring activities

Pricing Committee: Consists of 8+ members from the ABS industry and is responsible for setting

the fee structure for ED clients. The fees are set in line with a “costs-plus” approach, meaning that

profits above a certain operational margin must be redeployed to the market in the form of lower fees.

(6)

Onboarding Status as of H2 2013

Overall 606 deals were created in Edwin (approx. 95% of the ECB eligible ABS)

RMBS, CMBS , SME and Auto ABS Deals in ED by Country

Source: ED data

Spain 242

Italy 133

Netherlands

104

Portugal 39

Ireland 22

France 23

Belgium 17 UK 10 Germany 6

(7)

New SME transactions have been created in ED lately together with RMBS deals. ED has already started to

onboard Auto ABS, Consumer Finance and Lease ABS transactions in H2 2013 ahead of the ECB

implementation of loan-level reporting requirements starting on 1 January 2014.

Onboarding status as of H2 2013 for ABS SME deals

115 SME deals by country

Spain 70

Italy 28

France 5

Portugal 4

Belgium 3

Netherlands

3

Germany 2

Spain 412

Italy 286

Belgium 246

France 136

Portugal 44

Netherlands

28

Germany 17

(8)

Customer Types

Data Owners: are issuers/originators who register the deals within Edwin and receive a unique

global transaction identifier, or ED-Code. As part of registration of a deal, the data owner is also

expected to appoint a data provider for the deal

Data Providers: are servicers, trustees or other designated entities that upload performance data

files on a periodic basis against the deals for which they are nominated as providers by the data

owner. Note that in many cases Data Owners are also the Data Providers

Data Users: are usually investors, rating agencies, the European Central Bank, National Central

Banks, active market participants such as traders, researchers and other parties that access and

analyse the underlying loan performance data by searching and downloading deals from Edwin

All customers have to register and sign a customer agreement to upload and download ABS

loan-level data.

The ED Global Transaction ID number (or "ED-Code") is a unique electronic identification

scheme for ABS which is required in order for Customers to interact with Edwin. The ED-Code

identifies the entire ABS deal structure, encompassing all constituent liabilities (i.e. bonds/tranches)

and assets

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ECB ABS Templates and Taxonomies

ECB ABS Asset classes

1. RMBS template

- last update: 17 June 2013

2. CMBS template

- last update: 17 January 2013

3. SME template

- last update: 14 December 2012

4. Consumer and Finance template

- last update: 20 September 2013

5. Leasing ABS template

- last update: 20 September 2013

6. Auto ABS template

- last update: 20 September 2013

7. Credit Card ABS template

- last update: 19 September 2013

ECB ABS Compiling manuals

Dedicated manuals (taxonomies) are available on the ECB website for each

template to assist market participants when they submit ABS loan-level

performance information.

ECB contact for specific eligible assets-related queries:

Eligible-Assets.hotline@ecb.europa.eu

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ECB ABS SME template key characteristics

 Asset level details including:

Obligor information

Loan characteristics

Interest rate

Financials

Performance information

 Projected amortisation profile

 Callateral information

 Bond level information:

Bond information

Bond information by tranche

Data format: Extensible Markup Language (XML)

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Extraction of key ECB ABS SME mandatory fields

Field Number Priority TAG Field Name Field Definition & Criteria AS37 Mandatory Dynamic Bank Internal Loss Given

Default (LGD) Estimate Loss Given Default in normal economic conditions.

AS54 Mandatory Static Original Loan Balance Original total loan balance.

AS55 Mandatory Dynamic Current Balance

Amount of loan outstanding as of pool cut off date, This should include any amounts that are classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts

AS56 Mandatory Static Securitised Loan

Amount Balance of the securitised loan as of the cut-off date

AS66 Mandatory Dynamic Balloon Amount The balloon payment amount

AS80 Mandatory Dynamic Current Interest Rate Current interest rate (%)

AS81 Mandatory Dynamic Interest Cap Rate Interest rate cap (%). If no IR Cap then enter ND

AS82 Mandatory Static Interest Floor Rate Interest rate floor (%). If no IR Floor then enter ND

AS85 Mandatory Dynamic Current Interest Rate Margin

Current interest rate margin (as a percentage %, for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over or under if input as a negative) the index rate

AS115 Mandatory Dynamic Interest Arrears Amount

Current balance of interest arrears. Arrears defined as: Total interest payments due to date LESS Total interest payments received to date. This should not include any fees applied to the account. If not in arrears enter 0.

AS116 Mandatory Dynamic Number of Days in Interest Arrears

Number of days this loan is in arrears (at pool cut off date) according to the definition of the issuer. If not in arrears enter 0.

AS117 Mandatory Dynamic Principal Arrears Amount

Current balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. If not in arrears enter 0.

AS118 Mandatory Dynamic Number of Days in Principal Arrears

Number of days this loan is in arrears (at pool cut off date) according to the definition of the issuer. If not in arrears enter 0.

AS125 Mandatory Dynamic Default Amount

Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries. If not in default, enter 0.

AS128 Mandatory Dynamic Cumulative Recoveries

Total recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed. If No Data available enter ND

AS132 Mandatory Dynamic Allocated Losses The allocated losses to date. If no losses to date, enter 0.

AS150 Mandatory Dynamic Outstanding Balance

Period 1 Amortisation Profile with 0% prepayments

AS[152-388] (even

numbers) Mandatory Dynamic

Outstanding Balance

Period [2-120] Amortisation Profile with 0% prepayments

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Number of fields in ECB loan-level templates

including bond information

ECB

Template

RMBS

CMBS

SME

Auto ABS

Consumer Finance

ABS

Leasing ABS

Credit Card ABS

Type of field

Mandatory

Optional

Mandatory

Optional

Mandatory

Optional

Mandatory

Optional

Mandatory

Optional

Mandatory

Optional

Mandatory

Optional

Dynamic

37

46

209

39

39

58

39

12

40

12

53

33

42

21

Static

32

67

145

40

42

38

36

15

27

9

44

33

25

21

Total

182

433

177

102

88

126

108

(13)

ECB ACC SME Template

Comparison with the ECB SME template

 Counterparty details including contact information (not included in ECB ABS SME template)

 Asset level details including:

Obligor information

Loan characteristics

Interest rate

Financials

Performance information

 Projected amortisation profile

 Callateral information

 Bond level information:

Bond information

(14)

Deal overview at one glance

• overall information about deal

characteristics

• scoring (based on ECB scoring

calculation)

Loan-level data submission

• loan and bond-specific information

combined

• based on template and taxonomy

→ standardisation

Various functionalities

• detailed search functionality

• on-demand report generation

Edwin platform characteristics

(15)

Contact Details

Marco Angheben

Director Business Development and Strategy

T: +49 69 808 84303

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References

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